Name: Saddlepoint Approximation Methods in Financial Engineering (Springerbriefs in Quantitative Finance) (en Inglés)
SKU: 50889826
Price: 54.12 USD
Availability: InStock
Author: Yue Kuen Kwok; Wendong Zheng

portada Saddlepoint Approximation Methods in Financial Engineering (Springerbriefs in Quantitative Finance) (en Inglés)

Saddlepoint Approximation Methods in Financial Engineering (Springerbriefs in Quantitative Finance) (en Inglés)

Formato

Libro Físico

Editorial

Springer

Autor

Yue Kuen Kwok; Wendong Zheng

Año

2018

Idioma

Inglés

N° páginas

140

Encuadernación

Tapa Blanda

ISBN13

9783319741000

N° edición

Categorías

Matemáticas aplicadas

Saddlepoint Approximation Methods in Financial Engineering (Springerbriefs in Quantitative Finance) (en Inglés)

Yue Kuen Kwok; Wendong Zheng (Autor) · Springer · Tapa Blanda

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Reseña del libro "Saddlepoint Approximation Methods in Financial Engineering (Springerbriefs in Quantitative Finance) (en Inglés)"

This book summarizes recent advances in applying saddlepoint approximation methods to financial engineering. It addresses pricing exotic financial derivatives and calculating risk contributions to Value-at-Risk and Expected Shortfall in credit portfolios under various default correlation models. These standard problems involve the computation of tail probabilities and tail expectations of the corresponding underlying state variables. The text offers in a single source most of the saddlepoint approximation results in financial engineering, with different sets of ready-to-use approximation formulas. Much of this material may otherwise only be found in original research publications. The exposition and style are made rigorous by providing formal proofs of most of the results. Starting with a presentation of the derivation of a variety of saddlepoint approximation formulas in different contexts, this book will help new researchers to learn the fine technicalities of the topic. It will also be valuable to quantitative analysts in financial institutions who strive for effective valuation of prices of exotic financial derivatives and risk positions of portfolios of risky instruments.